Journal of Applied Econometrics

1986 - 2010

Continued by Journal of Applied Econometrics.

Current editor(s): M. Hashem Pesaran

From John Wiley & Sons, Ltd.
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Volume 7, issue S, 1992

Nonlinear Dynamics and Econometrics: An Introduction pp. S1-7

Mohammad Pesaran and Simon Potter

Complex Economic Dynamics: Obvious in History, Generic in Theory, Elusive in Data pp. S9-23

R H Day

Using the Correlation Exponent to Decide whether an Economic Series is Chaotic pp. S25-39

Tung Liu, Clive Granger and W P Heller

Lyapunov Exponents as a Nonparametric Diagnostic for Stability Analysis pp. S41-60

W D Dechert and Ramazan Gencay

The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP pp. S61-82

Bruce Hansen

Merger Waves and the Structure of Merger and Acquisition Time-Series pp. S83-100

Robert Town

Nonlinear Dynamics in a Structural Model of Employment pp. S101-18

Simon Burgess

Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models pp. S119-36

Timo Teräsvirta and Heather Anderson

Forecast Improvements Using a Volatility Index pp. S137-49

Blake Lebaron

Multivariate Nearest-Neighbor Forecasts of EMS Exchange Rates pp. S151-63

Bruce Mizrach

Nonlinear Time-Series Analysis of Stock Volatilities pp. S165-85

Charles Cao and R S Tsay

The Comparative Power of the TR Test against Simple Threshold Models pp. S187-95

Philip Rothman

Volume 7, issue 4, 1992

Market Structure and Spells of Employment and Unemployment: Evidence from the Construction Sector in Egypt pp. 339-67

Insan Tunali and Ragui Assaad

Stochastic Trends and Economic Fluctuations in a Small Open Economy pp. 369-94

Erik Mellander, Anders Vredin and Anders Warne

Aggregate Shocks and Macroeconomic Fluctuations: A Bayesian Approach pp. 395-411

Gary Koop

Simple Tests for Sample Selection Bias in Censored and Discrete Choice Models pp. 413-21

Francis Vella

MicroTSP Version 7.0: A Review pp. 423-29

Matthew L Higgins and Nabil Ltaifa

Volume 7, issue 3, 1992

Survey Evidence on the Rationality of Expectations pp. 225-41

Marc Ivaldi

Nonresponse in Panel Data: The Impact on Estimates of a Life Cycle Consumption Function pp. 243-57

Theo Nijman and Marno Verbeek

Alternative Estimators for Factor GARCH Models--A Monte Carlo Comparison pp. 259-79

Wen-Ling Lin

International Evidence on Persistence in Output in the Presence of an Episodic Change pp. 281-93

Baldev Raj

The Relationship between Power and Level for Generic Unit Root Tests in Finite Samples pp. 295-308

Stephen R Blough

Polynomial Approximations in Cross-Sectional Models pp. 309-22

R P Byron

A Review of the Econometrics Toolkit (ET) pp. 323-28

Michael P Kidd

Volume 7, issue 2, 1992

The Role of the List Price in Housing Markets: Theory and an Econometric Model pp. 115-29

Joel Horowitz

The Relationship between Forecast Dispersion and Forecast Uncertainty: Evidence from a Survey Data-ARCH Model pp. 131-48

Robert Rich, J E Raymond and J. Butler

Automobile Insurance Ratemaking in the Presence of Asymmetrical Information pp. 149-65

Georges Dionne and C Vanasse

Estimation of Data Measured with Error and Subject to Linear Restrictions pp. 167-74

Martin Weale

Some Strange Properties of Panel Data Estimators pp. 175-89

Donald Robertson and J Symons

Hypotheses Testing Concerning Relationships between Spot Prices of Various Types of Coffee pp. 191-201

E Vogelvang

The Stationarity of British Economic and Productivity Growth 1856-1913 pp. 203-09

D Greasley

Erratum [Resampling a Time-Series Process: A Method of Estimating the Probabilities Associated with Alternative Plans for Protecting Pensions against Inflation] pp. 211-13

Frank Denton and Byron Spencer

The GAUSS Programming System: A Review pp. 215-19

Richard Anderson

Volume 7, issue 1, 1992

Time Aggregation and the Distributional Shape of Unemployment Duration pp. 5-30

R Bergstrom and Per-Anders Edin

Classification and Aggregation: An Application to Industrial Classification in CPS Data pp. 31-51

R Cotterman and Franco Peracchi

Estimation of a Continuous-Time Dynamic Demand System pp. 53-64

Marcus Chambers

'Objective' Bayesian Unit Root Tests pp. 65-82

Gary Koop

Testing a Discrete Switching Disequilibrium Model of the UK Labour Market pp. 83-91

Stephen Hall, S G B Henry and M Pemberton

Bootstrapping the Process of Model Selection: An Econometric Example pp. 93-99

Michael Veall

MICRO-EBA: Leamer's Extreme Bounds Analysis on GAUSS pp. 101-03

Tsunemasa Shiba

Review of PCBRAP pp. 105-07

Gary Koop

Volume 6, issue 4, 1991

To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends pp. 333-64

Peter Phillips

To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends: A Comment pp. 365-70

Gary Koop and Mark Steel

To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends: Comment pp. 371-73

Edward Leamer

Flat Priors vs. Ignorance Priors in the Analysis of the AR(1) Model pp. 375-80

In-Moo Kim and G S Maddala

To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends: A Comment pp. 381-86

Dale J Poirier

On Bayesian Routes to Unit Roots pp. 387-401

Peter C Schotman and Herman van Dijk

Bayesian Approaches to the 'Unit Root' Problem: A Comment pp. 403-11

James Stock

The Case for Trend-Stationarity Is Stronger Than We Thought pp. 413-21

David DeJong and Charles Whiteman

To Criticize the Critics: Comment pp. 423-34

Christopher Sims

Bayesian Routes and Unit Roots: De Rebus Prioribus Semper Est Disputandum pp. 435-73

Peter Phillips

Volume 6, issue 3, 1991

Models for Truncated Counts pp. 225-38

Jeffrey Grogger and Richard Carson

Price Formation in Commodity Markets pp. 239-54

Montague Lord

A Small Linear Model of Wage- and Price-Inflation in the Norwegian Economy pp. 255-69

Ragnar Nymoen

Demand for Durable and Nondurable Goods, Environmental Policy and Consumer Welfare pp. 271-86

K Conrad and M Schroder

The Limiting Distribution of Extremal Exchange Rate Returns pp. 287-302

Martien C A B Hols and Casper de Vries

Resampling a Time-Series Process: A Method of Estimating the Probabilities Associated with Alternative Plans for Protecting Pensions against Inflation pp. 303-14

Frank Denton and Byron Spencer

Volume 6, issue 2, 1991

Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge pp. 109-24

Richard Baillie and Robert Myers

The Time-Series Properties of the Risk Premium in the Yen/Dollar Exchange Market pp. 125-42

Fabio Canova and Takatoshi Ito

Term Structure of Interest Rates in the Singapore Asian Dollar Market pp. 143-52

Tom K Y Lee and Y. K. Tse

Expenditure Allocation across Nondurables, Services, Durables and Savings: An Empirical Study of Separability in the Long Run pp. 153-68

G J Anderson

Specification Tests Based on the Heterogeneous Generalized Gamma Model of Duration: With an Application to Kennan's Strike Data pp. 169-80

Sanjiv Jaggia

Describing the Separability Properties of Empirical Demand Systems pp. 181-206

Rafiq Baccouche and Francois Laisney

A Review of STATA 2.1 pp. 207-12

Steven P Peterson

Progressive Econometric Modelling (PERM): A Review pp. 213-17

Chris Dineen

Volume 6, issue 1, 1991

Wage and Price Adjustment in a Multimarket Disequilibrium Model pp. 1-15

Bernard Salanié

Multiple and Pairwise Non-nested Tests of the Influence of Taxes on Money Demand pp. 17-30

Marlene A Smith and David J Smyth

Persistent Deficits and the Market Value of Government Debt pp. 31-44

Gregor Smith and Stanley Zin

Toward Efficiency in the Crude-Oil Market pp. 45-66

Steven L Green and Knut Anton Mork

The Effect of Parameter Uncertainty on Forecast Variances and Confidence Intervals for Unit Root and Trend Stationary Time-Series Models pp. 67-76

Michael Sampson

An Application and Test for a Random Coefficient Model in Bangladesh Agriculture pp. 77-90

Asraul Hoque

Elasticity of Substitution, Technical Progress and Returns to Scale in Branches of Soviet Industry: A New CES Production Function Approach pp. 91-96

Erkin Bairam

Statistical Software Tools (SST) Version 2.0: An Update pp. 97-101

Pravin Trivedi